Abstract
Ending-digit effects describe the presence of abnormal returns when the ending digits of stock prices are one penny below or above the zero-ending round number. Using data from 68 countries, I find abnormal positive returns when stock prices surpass the zero-ending threshold (i.e. when the ending digit is 1) but abnormal negative returns when prices drop below the same threshold (i.e. when the ending digit is 9). My findings survive alternative robustness checks. This ending-digit effect is more prominent in countries with more active innovation and better governance.
| Original language | English |
|---|---|
| Pages (from-to) | 464-494 |
| Number of pages | 31 |
| Journal | Global Economic Review |
| Volume | 46 |
| Issue number | 4 |
| Early online date | 26 Jul 2017 |
| DOIs | |
| Publication status | Published - 2017 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2017, Institute of East and West Studies, Yonsei University, Seoul.
Funding
The work described in this paper was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China [grant number UGC/ FDS16/B04/15].
Keywords
- Behavioral finance
- Ending digits
- Momentum trading
- Return anomalies
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